Too many things to list in Skyrim (beware spoilers).

 If you destroy the Dark Brotherhood, you get 3,000 gold as a reward. You get over WAY more by joining them and doing the quests, plus more unique armor and weapons.

 You can't kill the theives guild at all, some members can die but most can't. And you don't get anything for *not* joining them, at no point do you have to, but you just miss out on content if you don't.

 And at the end of the main quest, you're supposed to kill Parthuunax, which I guarantee nobody wanted to do. You miss out on content if you don't kill him, and if you do, you'll be able to reform the blades.